On my experience I often get too attached to the characters and plots of my dreams to let go of them even after I realize I'm sleeping.
Also notable that my subconsciousness is usually quick to incorporate my lucidity into the dream. At least on two recent occasions after I realized everything was a dream a different character convinced me that while it was a dream, it doesn't mean it's my dream.
False awakenings are also an issue, and occasionally are realistic enough to have me believe I woke up from a lucid dream until I actually do in reality.
But if I manage to stick to my knowledge that everything around me is a dream, it enables me to do some serious stuff:
- incredible jumping ability. It never comes easy as it actually feels like I'm breaking a whole set of dream laws while doing so and requires some concentration.
- pulling items out of thin air. Again, requires plenty of concentration and is not guaranteed to work the first time around. Never had much interest for firearms, but motorcycles and swords proved to be quite useful. Among other stuff.
- dreamscape shifting - one of the easiest and the most useless to me, unless I don't care at all about the location, plot and characters of the dream. For me shifting the dream requires nothing more then closing my eyes and giving everything a slight push. But it changes the dream entirely. Controlling the changes, however, is tough, but fruitful. However yet again I tend to loose all the characters and the thread of the plot in process.
- teleportation. Insofar probably the hardest thing to pull, as it usually involves changing the location of my character in the dreamscape, along with the angle of observation, while keeping all details intact and in their places. Jumping is easier.
- gliding. A piece of cake, but gliding is just that. You're slowly going down. Maybe over a long distance, but still down.
- flying - used to be hard, until I kinda merged it with gliding. The higher I go, the more my speed decreases and the harder it is to maintain flight. The closer am to the ground the higher is my speed, to the point where mere meters from the ground I'm flying at massive speeds, with enough inertia to launch me sky high should I direct myself upwards. Thus my flying in dreams resembles a truly crazy roller coaster ride.
- pushing myself through walls. Don't use this often, but has never failed me when I tried it while lucid. Still pretty hard, but doesn't feel like I need much mental concentration.
- pushing characters out of the dream. Doesn't require much effort beyond "physical", but once I push unwanted characters out of my field of vision - they are gone.
- waking up. My way is to close eyes in the dream and try hard to open them, while keeping them shut. Usually ends up with me opening eyes in reality. Not the best possible way of proving to some character that everything is just a dream, though. Kinda moot in itself. This was my first way of manipulating dreams and checking if I was asleep.
And, of course, there is the knowledge that all is permitted. That opens a lot of opportunities in it self.
So, what do you do with your lucidity?